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dc.contributor.authorFlores, Fabian Crocce
dc.contributor.authorHäppölä, Juho
dc.contributor.authorIania, Alessandro
dc.contributor.authorTempone, Raul
dc.date.accessioned2017-06-08T06:32:28Z
dc.date.available2017-06-08T06:32:28Z
dc.date.issued2016-01-06
dc.identifier.urihttp://hdl.handle.net/10754/624830
dc.description.abstractThe use of processes with jumps to overcome the shortcomings of the classical Black and Scholes when modelling stock prices has became very popular. One of the best-known models is the Common Clock Variance Gamma model (CCVG), introduced by Madan and Seneta in the 1990 [3]. We propose a method to price European basket call options modelled by the CCVG. The method could be extended to other model obtained by the subordination of a multidimensional Brownian motion and to more general options. To simplify the expositions we consider calls under the CCVG.
dc.titleBasket call option pricing for CCVG using sparse grids
dc.typePoster
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.conference.dateJanuary 5-10, 2016
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
dc.conference.locationKAUST
kaust.personFlores, Fabian Crocce
kaust.personHäppölä, Juho
kaust.personIania, Alessandro
kaust.personTempone, Raul
refterms.dateFOA2018-06-13T13:16:08Z


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